A decomposition of the bifractional Brownian motion and some applications
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Publication:1007350
DOI10.1016/J.SPL.2008.10.009zbMATH Open1157.60313arXiv0803.2227OpenAlexW1996118162MaRDI QIDQ1007350FDOQ1007350
Authors: Pedro Lei, David Nualart 
Publication date: 20 March 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Abstract: In this paper we show a decomposition of the bifractional Brownian motion with parameters H,K into the sum of a fractional Brownian motion with Hurst parameter HK plus a stochastic process with absolutely continuous trajectories. Some applications of this decomposition are discussed.
Full work available at URL: https://arxiv.org/abs/0803.2227
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